Hi,
Normally, VisualGDB checks for missing packages when loading the project, and displays a window suggesting automatically installing the missing ones. Most likely, something else in your setup interfered with this mechanism.
If you could confirm that a specific sequence of actions that can be reproduced from scratch, triggers the issue, we can gladly investigate it further (e.g. Create a project using the ARM toolchain -> Remove the toolchain via VisualGDB Package Manager -> Restart VS -> Open the project).